Sparse and Stable Portfolio Selection With Parameter Uncertainty
参数不确定性下的稀疏且稳定的投资组合选择
A number of alternative mean-variance portfolio strategies have been recently proposed to improve the empirical performance of the classic Markowitz mean-variance framework. Designed as remedies for parameter uncertainty and estimation errors in portfolio selection problems, these alternative portfolio strategies deliver substantially better out-of-sample performance. In this article, we first show how to solve a general portfolio selection problem in a linear regression…